Modelling Non-Stationary Multivariate Time Series of Counts via Common Factors
DOI10.1111/rssb.12271zbMath1398.62251OpenAlexW2795304814MaRDI QIDQ4962089
Publication date: 30 October 2018
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/rssb.12271
generalized linear modelsfactor modelcount time seriespseudolikelihoodeigendecompositiongeneralized auto-regressive conditional heteroscedasticity
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12)
Related Items (4)
This page was built for publication: Modelling Non-Stationary Multivariate Time Series of Counts via Common Factors